The profile likelihood estimation for single-index ARCH(\(p\))-M model
Summary: We propose a class of single-index ARCH(\(p\))-M models and investigate estimators of the parametric and nonparametric components. We first estimate the nonparametric component using local linear smoothing technique and then construct an estimator of parametric component by using profile quasimaximum likelihood method. Under regularity conditions, the asymptotic properties of our estimators are established.
scientific article; zbMATH DE number 7015878